Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0680 |
| Annualized Std Dev | 0.2956 |
| Annualized Sharpe (Rf=0%) | 0.2301 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1525 |
| Quartile 1 | -0.0090 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0100 |
| Maximum | 0.2147 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0186 |
| Skewness | 0.0512 |
| Kurtosis | 8.4137 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0133 |
| Gain Deviation | 0.0130 |
| Loss Deviation | 0.0135 |
| Downside Deviation (MAR=210%) | 0.0178 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.6725 |
| Historical VaR (95%) | -0.0277 |
| Historical ES (95%) | -0.0431 |
| Modified VaR (95%) | -0.0268 |
| Modified ES (95%) | -0.0365 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-04-12 | 2020-03-23 | NA | -0.6725 | 2000 | 1749 | NA |
| 2007-07-09 | 2009-03-09 | 2012-09-13 | -0.6636 | 1309 | 421 | 888 |
| 2000-03-10 | 2003-02-12 | 2004-03-31 | -0.4553 | 1018 | 733 | 285 |
| 2006-05-10 | 2006-06-13 | 2006-10-05 | -0.2807 | 104 | 24 | 80 |
| 1999-05-11 | 1999-10-15 | 1999-12-08 | -0.2782 | 148 | 111 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 2.5 | -1.7 | 0.9 | -2.1 | -1.8 | -0.4 | 0 | 1.9 | 0 | 2.8 | -1.2 | 0.7 | 1.5 |
| 2000 | 0.4 | 2.5 | -0.7 | -1.9 | 2.9 | 3.5 | 0.8 | 1.5 | -2.8 | -2.8 | -0.4 | 0.9 | 3.8 |
| 2001 | -1.6 | 1 | 2.7 | 0 | 1.7 | 2.1 | -0.4 | 1.1 | 0.4 | 2.9 | -0.9 | -1.7 | 7.6 |
| 2002 | -2.1 | 1.7 | -0.5 | -0.3 | 0.3 | -2.7 | -3.2 | 0.4 | 4.7 | 1.9 | 1.3 | -0.2 | 1.1 |
| 2003 | 0.4 | -2.5 | 2 | 0 | 0.3 | 1.9 | -0.4 | 0.1 | 1.2 | 1 | 2.1 | 0.6 | 6.8 |
| 2004 | 0.5 | 3.1 | 0.4 | -0.7 | -1.6 | 0.1 | -0.2 | 0.4 | 2.1 | 0.9 | 1.6 | -0.1 | 6.6 |
| 2005 | 2 | -0.1 | 0.5 | 1.5 | 1.5 | 0.4 | 2 | 1.9 | 1.8 | 0.8 | 2.5 | -0.4 | 15.2 |
| 2006 | 0.7 | 2.4 | 0.6 | 0.5 | 3.4 | 1.1 | -0.8 | 1.5 | 0.3 | -0.8 | -1 | 1 | 9 |
| 2007 | 2 | -0.7 | -0.3 | 0 | 2 | -0.1 | -1.4 | 3 | 1.8 | -3 | 2.1 | -1.1 | 4.3 |
| 2008 | 2.4 | -4.9 | 4.6 | 0.2 | 0.6 | -1.9 | -0.6 | -0.6 | -0.1 | -2.1 | -7.1 | -0.1 | -9.6 |
| 2009 | -1.6 | -2.2 | 2.5 | 2.1 | 2.7 | 0.9 | 1.2 | -3.5 | -3.3 | -3.8 | 3.6 | -0.7 | -2.3 |
| 2010 | 2.4 | 0.9 | 1 | -1.4 | -1.6 | -0.3 | 0.1 | 3 | 1.7 | 0.6 | 1.5 | 0.9 | 9 |
| 2011 | 2.8 | -1.2 | 1.4 | 1.1 | -2.5 | 1.1 | -0.6 | -0.2 | -2.6 | -3.3 | -0.6 | -0.1 | -4.8 |
| 2012 | 1.8 | 1.7 | 0.9 | 0.9 | -1.5 | 3.4 | -0.4 | 0.1 | 1.1 | 1.1 | -0.1 | 1.6 | 10.9 |
| 2013 | 1.8 | 0 | -0.7 | -1.6 | 1.8 | 1.2 | 2.4 | 0.7 | 2.4 | 0.4 | 1.4 | 0.4 | 10.5 |
| 2014 | -0.3 | -0.4 | 0 | 0.9 | -1.3 | 0.6 | 0.7 | 0.2 | -1.6 | 0.5 | -2.4 | 0.2 | -3 |
| 2015 | -3 | 0.3 | 1.7 | -0.5 | -0.6 | -0.6 | 2.3 | -3 | -0.2 | 0.6 | 1.5 | 0.2 | -1.5 |
| 2016 | -0.6 | 2.9 | 0 | 1.2 | -0.2 | 0.3 | -0.3 | 0.5 | -0.3 | -2.8 | -1.9 | -0.5 | -1.9 |
| 2017 | 0.2 | 2.6 | -0.9 | 0.6 | 1 | 0.6 | -0.1 | 0.5 | 0.3 | -0.5 | 0.5 | 1.5 | 6.5 |
| 2018 | 1.8 | 0.5 | 2.6 | -1.3 | 0.7 | 0.5 | -0.5 | -0.2 | 0.7 | 4.2 | -1 | 0.1 | 8.2 |
| 2019 | -0.3 | -0.6 | 2.3 | -1 | -3.6 | 1.1 | -1.3 | 2.2 | -0.8 | 1.9 | -0.6 | 0.1 | -0.9 |
| 2020 | -1.9 | -1.2 | -5.9 | -4 | 2.9 | 1 | -1.2 | 2.4 | -0.8 | 1.3 | 3.6 | -1.2 | -5.3 |
| 2021 | 3.9 | 2 | -1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
